This paper develops an economic analysis of commodity price dynamics and price volatility. The approach applies under general supply-demand conditions, including the role played by private and public inventory holders. Quantile autogression is used to estimate the evolving distribution of price. The usefulness of the method is illustrated in an application to two markets in China: a food market (rice) and a feed market (corn). Based on monthly data over the period 2000-2014, the econometric analysis shows how the price distributions (including skewness and kurtosis) vary across commodity markets. Using a Markov chain representation, the paper evaluates the dynamics of price volatility. It finds slow adjustments in the price distribution between short run and long run situations. The investigation also assesses the short run and long run effects of alternative economic policies on the price distributions. It finds that the Chinese price support programs have helped stabilize the domestic food market but not the feed market.